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Financial Markets Microstructure

 

 

 

 

Overview

 

The purpose of the course is to acquaint students with market microstructure. Market microstructure has grown rapidly as one of the most important field of Finance. The goal of this discipline is to provide a micro-analysis of the trading process in financial markets. This course will expose the market microstructure approach to security prices formation by presenting  selected models that are used in market microstructure

 

Content

 

·   

o   Introduction

(Slides and references)

o   Auctions

(Slides)

o   Dealers’ inventories.

o   Informed non-strategic traders

o Informed strategic traders

o    Informed dealers

(Slides)

o   Market Efficiency and rational herding

      o   Robust price formation.

              (Slides)

o   Limit order markets

                    (Slides)

 Readings

Some problems from past exams

 

Textbooks:

T. Foucault, M. Pagano and A  Roëll,  Market LIquidity, Oxford University Press.

M. O'Hara, Market Microstructure,  Blackwell Publishing.

V. Krishna,  Auction Theory, Academic Press.